This paper develops two-stage model averaging (2SMA), an extension of model averaging. 2SMA allows researchers to incorporate economic theory or prior economic information into their forecasts. By using prior economic information, 2SMA leverages models known to perform well while diversifying...

This article comprehensively reviews the predictability of six equity factors. These factors are the market excess return, size, value, momentum, low beta and quality. I find predictability for the low beta factor and moderate predictability for the size factor. The results for other factors are...

There is limited evidence of intraday predictability both in the cross-section of US stock returns (see Heston et al., 2010) and in the time-series of the aggregate stock market (see Gao et al., 2015). I find that statistical time-series predictability does not imply economic profitability,...

Firms whose quarterly earning announcements closely meet the most recent analyst consensus forecast enjoy higher long-lasting future returns. These firms tend to be larger and are followed by more analysts, whose forecasts have a smaller dispersion. While the proportion of past quarters when...

We start this paper by presenting compelling evidence of short-term momentum in the excess returns on the S&P Composite stock price index. For the first time ever, we assume that the excess returns follow an autoregressive process of order p, AR(p), and evaluate the parameters of this process....

The presence of time series momentum effect has been widely documented in the financial markets across asset classes and countries. We find a predictable pattern of the realized semi-variance to the future individual asset return, especially during the stressed states of time series momentum...

We derive generalized bounds on conditional expected excess returns. The bounds deliver consistent expected returns for individual and index-type assets, are conditionally tight, account for all risk-neutral moments of returns, and outperform runner-up models for out-of-sample predictions....

In a 2001 interview in Forbes, Warren Buffett suggested that the ratio of the market value of publicly traded stocks to economic output could identify potential equity market mispricings. This paper investigates the return-predictive characteristics of the market value of equity-to-gross...

We examine the relationship between the tonality of news flow and the cross section of expected stock returns. We use a comprehensive definition of media coverage that includes both financial newspapers and mass media, represented by TV broadcasts. Using the total news flow with positive and...

Previous research documents two puzzling findings that cast doubt on the usefulness of accounting information to investors: the declining power of street EPS in explaining earnings announcement returns and the increasing price reactions to earnings announcements. I show this evidence is due to...